Researcher:
Kılıç, Rehim

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Faculty Member

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Rehim

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Kılıç

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Kılıç, Rehim

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2011 - 20125

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Researcher Of Publications: search.filters.isAuthorOfPublication.a0832d9a-d5ec-4596-b7fb-b1a4316da716

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    Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
    (Wiley, 2011) N/A; Department of Economics; Kılıç, Rehim; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This article introduces a testing procedure for cointegration and nonlinear adjustment in a smooth transition vector error correction model. To overcome the unidentified parameters problem under the null of no-cointegration, the Wald statistic is optimized over the unidentified parameter space. The asymptotic distribution of the test statistic is shown to be non-standard but nuisance parameter-free and hence critical values are obtained by simulations, Simulations show that the proposed test outperforms the alternatives in small sample sizes both in terms of size and power. Application to the exchange rate-monetary fundamentals relationship show that the proposed test works considerably well. This article also finds that nonlinear adjustment dynamics are symmetric for some currencies and therefore the speed of adjustment depends on the size of the deviations and is asymmetric for others, hence, the adjustment dynamics depend not only on the size but also on the sign of the deviations.
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    Long-run equilibrium and short-run dynamics between risk exposure and highway safety
    (Physica-Verlag Gmbh & Co, 2012) McCarthy, Patrick; Department of Economics; Kılıç, Rehim; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    Based upon monthly California data, this exploratory analysis uses vector error correction methods and associated statistical tests to identify the long-run relationship and the short-run dynamics between highway exposure and crashes. The analysis finds that there is a cointegrating relationship between exposure and crashes, and for fatal, serious injury, and materials crashes, could not reject the hypothesis that crash exposure and frequency move proportionately. The analysis indicates that vector error correction models may be an important tool for improving our understanding of highway crashes and the near and longer term impacts of alternative safety policies.
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    Investment intensity of currencies and the random walk hypothesis: cross-currency evidence
    (2011) Chuluun, Tuugi; Eun, Cheol S.; Department of Economics; Kılıç, Rehim; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This paper studies the cross-currency and temporal variations in the random walk behavior in exchange rates. We characterize currencies with relatively large investment flows as investment intensive and conjecture that the more investment intensive a currency is, the closer its exchange rate adheres to random walk. Using 29 floating bilateral USD exchange rates, we find that the higher the investment intensity, the less likely it is to reject random walk and the smaller the deviation from random walk is. However, the effect of investment intensity is non-monotonic. Application of threshold models shows that after investment intensity reaches the estimated thresholds, the level of investment intensity has no further effect on the deviation from random walk. These findings help reconcile the previous conflicting results on the random walk in exchange rates by focusing on the effect of cross-currency and temporal variations in investment intensity. 
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    Testing for a unit root in a stationary ESTAR process
    (Taylor & Francis Inc, 2011) N/A; Department of Economics; Kılıç, Rehim; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This article develops a statistic for testing the null of a linear unit root process against the alternative of a stationary exponential smooth transition autoregressive model. The asymptotic distribution of the test is shown to be nonstandard but nuisance parameter-free and hence critical values are obtained by simulations. Simulations show that the proposed statistic has considerable power under various data generating scenarios. Applications to real exchange rates also illustrate the ability of our test to reject null of unit root when some of the alternative tests do not.
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    Long memory and nonlinearity in conditional variances: a smooth transition FIGARCH model
    (Elsevier Science Bv, 2011) N/A; Department of Economics; Kılıç, Rehim; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This paper introduces the Smooth Transition version of FIGaRCH model which is designed to account for both long memory and nonlinear dynamics in the conditional variance. Nonlinearity is introduced via a logistic transition function. the model can capture smooth changes in the volatility across different regimes as well as asymmetric response to negative and positive shocks and allows for nonzero thresholds. Simulations find that the Smooth Transition FIGaRCH model outperforms the standard FIGaRCH model when nonlinearity is present, and ignoring nonlinearity in the data may induce considerable costs in terms of bias and efficiency. applications to exchange rate and stock market data show that the proposed model performs well both in-sample fit as well as in forecasting one-day ahead volatility. (c) 2010 Elsevier B.V. .